Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0887 |
| Annualized Std Dev | 0.2083 |
| Annualized Sharpe (Rf=0%) | 0.4258 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3580.0000 |
| NAs | 1.0000 |
| Minimum | -0.1206 |
| Quartile 1 | -0.0048 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0064 |
| Maximum | 0.1181 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0131 |
| Skewness | -0.2824 |
| Kurtosis | 13.0801 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0096 |
| Gain Deviation | 0.0092 |
| Loss Deviation | 0.0108 |
| Downside Deviation (MAR=210%) | 0.0141 |
| Downside Deviation (Rf=0%) | 0.0094 |
| Downside Deviation (0%) | 0.0094 |
| Maximum Drawdown | 0.5528 |
| Historical VaR (95%) | -0.0197 |
| Historical ES (95%) | -0.0323 |
| Modified VaR (95%) | -0.0187 |
| Modified ES (95%) | -0.0264 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2011-04-27 | -0.5528 | 979 | 444 | 535 |
| 2020-01-21 | 2020-03-23 | 2020-12-03 | -0.4132 | 222 | 44 | 178 |
| 2018-01-29 | 2018-12-24 | 2019-04-23 | -0.2217 | 310 | 229 | 81 |
| 2015-02-25 | 2016-02-11 | 2016-11-22 | -0.2106 | 442 | 244 | 198 |
| 2011-05-13 | 2011-08-10 | 2012-01-25 | -0.1795 | 177 | 62 | 115 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.3 | -0.3 |
| 2007 | 0.4 | -0.6 | -0.1 | 0.3 | 0.3 | -0.5 | -0.2 | 1 | 1.4 | -1.6 | 0.2 | -0.5 | 0.1 |
| 2008 | 1.8 | -2.4 | 3.5 | 2.2 | -0.2 | -0.6 | -0.7 | -0.8 | 4.5 | 3.5 | -6 | 1.8 | 6.4 |
| 2009 | -2.9 | -0.8 | 2 | 0.1 | 3.6 | 1.3 | 0 | -1.9 | -1.7 | -2.4 | 1 | -0.6 | -2.5 |
| 2010 | 0.2 | 0.9 | 0 | -1.8 | -1.1 | -0.4 | 1.1 | 2.3 | -0.6 | -0.2 | 1.5 | -0.4 | 1.5 |
| 2011 | 1.7 | -1 | 0.3 | -0.3 | -1.7 | 1.6 | -1.7 | -1.1 | -1.5 | -2.4 | 0.6 | -0.5 | -6.1 |
| 2012 | 1.2 | 0.4 | 0.7 | 0.6 | -2.6 | 2.3 | -0.6 | 0.5 | 0.2 | 1.1 | 0.3 | 1.7 | 6.1 |
| 2013 | 1.1 | 0.5 | -0.5 | -0.5 | -1.7 | 0.8 | 1.5 | -0.6 | 1 | 0.1 | 0 | 0.4 | 2.1 |
| 2014 | -0.8 | 0 | 1 | 0.1 | 0 | 0.6 | -0.2 | 0.4 | -1.2 | 1.3 | -1.1 | -0.6 | -0.4 |
| 2015 | -1.4 | -0.3 | -0.3 | 1.5 | 0.2 | 1 | 0.2 | -2.6 | 0.2 | -0.1 | 0.8 | -0.8 | -1.7 |
| 2016 | 0.2 | 2.3 | 0.3 | -0.8 | 0.1 | 0.2 | -0.3 | -0.2 | 1.1 | -0.6 | -0.2 | -0.5 | 1.5 |
| 2017 | -0.1 | 1.4 | -0.3 | 0.1 | 1.3 | 0.3 | 0 | 0.3 | 0.3 | 0 | -0.5 | -0.5 | 2.2 |
| 2018 | 0.5 | -1.1 | 0.9 | -0.2 | 0.8 | -0.2 | -0.6 | 0.2 | -0.3 | 1.4 | -0.1 | 0.7 | 2 |
| 2019 | 0.3 | 0.4 | 1.5 | -0.5 | -1.5 | 1 | -1.5 | 0.2 | -1.6 | 1.5 | -0.5 | 0.3 | -0.5 |
| 2020 | -2.2 | -1.5 | -5 | -3.2 | 0.4 | -0.6 | 0.4 | 0.8 | 0.3 | 0.2 | 1.6 | 0.6 | -8.1 |
| 2021 | 1.4 | 2.7 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-12-20 25.0 SPY 142. -6.00e-4 0.0019 0.0117 0.0779 0.130 0.305 0.228 GLD 61.6 -0.00290 -0.0138
2 2006-12-21 24.9 SPY 142. -3.70e-3 -0.0105 0.007 0.0772 0.124 0.291 0.235 GLD 61.4 -0.0039 -0.0119
3 2006-12-22 24.8 SPY 141. -6.10e-3 -0.0112 -0.00120 0.0624 0.111 0.283 0.224 GLD 61.6 0.0044 0.0107
4 2006-12-26 24.9 SPY 142. 5.90e-3 -0.0026 0.0088 0.0599 0.117 0.292 0.234 GLD 62.0 0.0054 0.0154
5 2006-12-27 25.1 SPY 143. 6.60e-3 0.002 0.0295 0.0656 0.136 0.299 0.235 GLD 62.2 0.0039 0.0068
6 2006-12-28 25.0 SPY 142. -2.10e-3 0.0005 0.0229 0.0637 0.131 0.279 0.225 GLD 62.9 0.0109 0.0208
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
